Large deviations in testing fractional Ornstein-Uhlenbeck models

DOI10.1016/J.SPL.2007.09.055zbMath1144.62335OpenAlexW2090660253MaRDI QIDQ928961

Jaya P. N. Bishwal

Publication date: 11 June 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.09.055

Mathematics Subject Classification ID

Large deviations (60F10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (12)

Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift ⋮ Large and moderate deviations in testing Rayleigh diffusion model ⋮ Sharp large deviations for the log-likelihood ratio of an \({\alpha}\)-Brownian bridge ⋮ Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process ⋮ Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process ⋮ Hypothesis Testing in a Rayleigh Diffusion Model ⋮ Large and moderate deviations in testing time inhomogeneous diffusions ⋮ On large deviation expansion for log-likelihood ratio of non-homogeneous Ornstein-Uhlenbeck processes ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift ⋮ Large deviations in testing Jacobi model ⋮ Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling ⋮ Cramér-type moderate deviations for the log-likelihood ratio of inhomogeneous Ornstein-Uhlenbeck processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fractional integral equations and state space transforms
• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
• Large deviation theorems for extended random variables and some applications
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Fractional {O}rnstein-{U}hlenbeck processes
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• [https://portal.mardi4nfdi.de/wiki/Publication:3946964 Vitesses maximales de d�croissance des erreurs et tests optimaux associ�s]
• On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations

This page was built for publication: Large deviations in testing fractional Ornstein-Uhlenbeck models